共查询到20条相似文献,搜索用时 15 毫秒
1.
本文研究不完全金融市场中具有货币政策的货币经济一般平衡存在性.我们只考虑纯金融市场,允许卖空,金融市场是不完全的;一些商品流不可能由交易策略得到.具有连续、弱凸性、严格单调和完全偏好,严格正初始占有和红利过程的经济则存在货币平衡. 相似文献
2.
张国胜 《数学的实践与认识》2007,37(13):34-40
在Aumann的大经济框架下,构造了大金融经济模型;在常规条件下,证明了具有可测空间经纪人的不完全市场均衡的存在性.由于均衡性讨论是在资产结构不完全条件下展开,与张国胜(1998,2000)的工作相比,主要结论不仅拓展了模型的经济适用范围,而且实现了方法上的突破. 相似文献
3.
Ansari Q. H. Konnov I. V. Yao J. C. 《Journal of Optimization Theory and Applications》2001,110(3):481-492
In this paper, we prove an existence result for a solution to the vector equilibrium problems. Then, we establish variational principles, that is, vector optimization formulations of set-valued maps for vector equilibrium problems. A perturbation function 相似文献
4.
Le Anh Tuan Pham Huu Sach Nguyen Ba Minh 《Numerical Functional Analysis & Optimization》2013,34(4):430-450
In this article, we give sufficient conditions for the existence of solutions of a general model which includes as special cases many generalized vector quasi-equilibrium problems with set-valued maps. The obtained results generalize and improve several earlier results. 相似文献
5.
J. Y. Bello Cruz P. S. M. Santos S. Scheimberg 《Journal of Optimization Theory and Applications》2013,159(3):562-575
We introduce an explicit algorithm for solving nonsmooth equilibrium problems in finite-dimensional spaces. A particular iteration proceeds in two phases. In the first phase, an orthogonal projection onto the feasible set is replaced by projections onto suitable hyperplanes. In the second phase, a projected subgradient type iteration is replaced by a specific projection onto a halfspace. We prove, under suitable assumptions, convergence of the whole generated sequence to a solution of the problem. The proposed algorithm has a low computational cost per iteration and, some numerical results are reported. 相似文献
6.
Annamaria Barbagallo Paolo Mauro 《Journal of Optimization Theory and Applications》2012,155(1):288-314
The paper is devoted to generalize a previous model of the dynamic oligopolistic market equilibrium problem allowing the presence of production excesses and assuming, in a more reasonable way that the total amounts of commodity shipments from a firm to all the demand markets be upper bounded. First, we give equilibrium conditions in terms of the well-known dynamic Cournot–Nash equilibrium principle. Then we show that such conditions can be expressed in terms of Lagrange multipliers; namely, by means of an utility function, prove that both equilibrium conditions can be equivalently expressed by a variational inequality. The variational formulation allows us to provide existence theorems and qualitative properties for equilibrium solutions. At last, a numerical example illustrates the results obtained. 相似文献
7.
Ryosuke Ishii 《Applied Mathematical Finance》2013,20(1):50-68
Abstract We introduce endogenous participation of market makers into a Kyle-type model with long-lived asymmetric information. In our model with plausible parameter values, the trading volume and price volatility show a U-shaped intraday pattern, often observed in actual financial markets. It will be shown that the pattern is caused not only by the trading behaviour of liquidity traders but also by that of market makers. Our findings shed new light on the stylized fact of the trade concentration at the opening and closing periods. 相似文献
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9.
Patrizia Daniele 《Journal of Global Optimization》2004,28(3-4):283-295
This paper concerns with the study of the time–dependent variational inequality associated to the spatial price equilibrium model related to the quantity formulation. In particular existence the -orems of the solution to the associated variational inequality and a stability analysis of the equilibrium pattern is reported. 相似文献
10.
Wendell H. Fleming Daniel Hernández-Hernández 《Applied Mathematics and Optimization》2005,52(2):219-235
In this paper we are concerned with the tradeoff between long term
growth of the expected utility of wealth and consumption. The goal
is to find a consumption policy for which the optimal rate of
capital growth is zero, i.e. a policy for which balance between
consumption and investment is reached. The asymptotic limit of
this investment problem when the HARA parameter γ → -∝
is also studied. 相似文献
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13.
Szilárd László 《Journal of Optimization Theory and Applications》2011,150(3):425-443
In this paper, we introduce a new class of operators. We present some fundamental properties of the operators belonging to
this class and, as applications, we establish some existence results of the solutions for several general variational inequalities
involving elements belonging to this class. 相似文献
14.
This paper develops a one-sector overlapping generations model with endogenous labor supply and nonseparable preferences.
It demonstrates that local indeterminacy arises easily under gross substitutability as soon as there exist multiple steady
states. We show also that, depending on whether leisure and second-period consumption are gross substitutes, local indeterminacy
holds for very different parameter configurations. If gross substitutability is satisfied, the existence of multiple equilibrium
paths requires the share of capital in the total income to be strong enough with respect to the elasticity of capital-labor
substitution. On the other hand, if gross substitutability is violated, local indeterminacy necessitates the share of capital
in the total income to be weak enough with respect to the elasticity of capital-labor substitution.
This paper is dedicated to the memory of Louis-André Gérard-Varet, Director of GREQAM from 1987 to 1999.
We thank S. Catania, C. Deissenberg, J. P. Drugeon, L. A. Gérard-Varet, J. M. Grandmont, A. Kirman, T. Lloyd-Braga, P. Michel,
P. Pintus,E.Thibault, B.Wigniolle, and two anonymous referees for helpful comments and suggestions. The paper benefited from
comments received during a presentation at the Conference on Dynamic Equilibria, Expectations and Indeterminacies, Paris.
France, 1999. 相似文献
15.
离散时间不完全金融市场中未定权益的定价 总被引:1,自引:0,他引:1
对一类连续时间不完全市场(其中的股票价格由Brown运动驱动),ElKarouiandQuenez[1]讨论了一般的不可达未定权益的定价问题.本文利用FollmerandKabanov[2]建立的分解定理,证明[1]中关于买方与卖方价格过程的结果与方法适用于一般的离散时间不完全金融市场(定理1).特别,关于买方与卖方价格我们给出另一种合理的解释(定理3). 相似文献
16.
This paper shows that the existence of general equilibrium in a two-period economy with financial markets and progressive anonymous tax system is not at all problematic, provided securities are purely financial. We explore the concepts of weakly and strongly arbitrage-free security price for return and tax system, and prove arbitrage-free asset pricing theorems without short-sale restrictions. A general equilibrium is a set of current and future prices (contingent on uncertain events) and a set of individual plans such that all markets are cleared. The existence of such an equilibrium is proved under the following conditions: continuous, weakly convex, strictly monotone, complete preferences and strictly positive endowments. 相似文献
17.
Solis-García Nancy Flores-Muñiz José Guadalupe Kreinovich Vladik Kalashnykova Nataliya Kalashnikov Viacheslav 《Journal of Optimization Theory and Applications》2022,194(3):966-987
Journal of Optimization Theory and Applications - We consider a general model of financial flows and prices with multiple sectors and instruments. Each sector optimizes the composition of assets... 相似文献
18.
本论文研究具有习惯形成偏好特性的宏观经济模型,讨论一般均衡下经济增长和消费者行为,分析外部习惯和内部习惯同时存在的情况下经济的动态特征和各经济变量的相互关系.本文发现当外部习惯形成影响存在时,经济增长会对储蓄率的变动有正向作用,消费者的自身消费具有负的社会效应. 相似文献
19.
Maria Bernadette Donato Monica Milasi Antonio Villanacci 《Journal of Mathematical Analysis and Applications》2018,457(2):1353-1369
We deal with the analysis of the general equilibrium model with incomplete financial markets and nominal assets. We assume that there are 2 periods of time, say today and tomorrow. We define a consumption, portfolio holding, commodity and asset price vector as an equilibrium vector associated with a given economy if at those prices and economies households maximize utility under a budget constraints and markets clear. While the path breaking proofs of existence by Cass [6] and Werner [25] use a fixed point argument, we provide an independent existence proof in terms of variational inequalities (about the variational approach for the analysis of general equilibrium models see for example [9] and [10]). The analysis presented in this paper indicates that the variational inequality approach promises to be applicable in many specifications of the incomplete market model. 相似文献
20.
Yunan Wu Yuchen Peng Long Peng Ling Xu 《Journal of Optimization Theory and Applications》2012,153(2):485-496
The super efficiency of a vector variational inequality is considered in this paper. We show that for both the single and multiple criteria cases, a network equilibrium model can be recast as super efficient solutions to a kind of variational inequality. For the network equilibrium model with a vector-valued cost function, we derive the necessary and sufficient condition in terms of the super efficiency of a vector variational inequality by using the Gerstewitz’s function without any convex assumptions. 相似文献